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One-sided Markov additive processes with lattice and non-lattice increments

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  • Ivanovs, Jevgenijs
  • Latouche, Guy
  • Taylor, Peter

Abstract

Dating from the work of Neuts in the 1980s, the field of matrix-analytic methods has been developed to analyse discrete or continuous-time Markov chains with a two-dimensional state space in which the increment of a level variable is governed by an auxiliary phase variable. More recently, matrix-analytic techniques have been applied to general Markov additive models with a finite phase space. The basic assumption underlying these developments is that the process is skip-free (in the case of QBDs or fluid queues) or that it is one-sided, that is it is jump-free in one direction.

Suggested Citation

  • Ivanovs, Jevgenijs & Latouche, Guy & Taylor, Peter, 2025. "One-sided Markov additive processes with lattice and non-lattice increments," Stochastic Processes and their Applications, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:spapps:v:190:y:2025:i:c:s0304414925002157
    DOI: 10.1016/j.spa.2025.104771
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